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An empirical comparison of the performance of alternative option pricing models
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
This paper presents a comparison of alternative option pricing models based neither on jump-diffusion nor stochastic volatility data generating processes. We assume either a smooth volatility function of some previously ...
A Semiparametric Estimation of Liquidity Effects on Option Pricing
(1999-09)
This paper proposes a semiparametric option pricing model with liquidity, as proxied by the relative bid-ask spread. The nonparametric volatility function with liquidity as an explanatory variable is estimated using the ...